Blar i Norges Banks vitenarkiv på forfatter "Chollete, Lorán"
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Economic Implications of Copulas and Extremes
Chollete, Lorán (Journal article, 2008)Events in financial markets since summer 2007 have clearly illustrated the importance of being able to analyse how the return on different kinds of assets that usually seem uncorrelated can begin to show a strong covariance ... -
Economic Implications of Copulas and Extremes
Chollete, Lorán (Journal article, 2008)Recent events in financial markets and in nature have made it clear that it is vital to understand extremes. Such ’tail events’ occur in many aspects of economic life. As suggested by the subprime market spillover of 2007, ... -
Monetary Policy and Financial Stability in the Long Run
Cao, Jin; Chollete, Lorán (Working Papers;21/2013, Working paper, 2013)Most theoretical central bank models use short horizons and focus on a single tradeoff. However, in reality, central banks play complex, long-horizon games and face more than one tradeoff. We account for these issues in a ... -
The Risk Components of Liquidity
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2008, Working paper, 2008)Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ... -
What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2007, Working paper, 2007)Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ...